<p>
  The following regression output is obtained by backtesting the time period from Jun 2013 to Jun 2016.
  From the regression statistics, the R-squared value is 1.4% which is smaller than the paper value 3.89%.
  Our momentum coefficient, ρ, is 0.0633 compared to the paper's 0.042. We obtained 1.0350 mean reversion coefficient (1 + 0.0350), and the paper got 0.9859.
</p>

<img class="img-responsive" src="https://cdn.quantconnect.com/tutorials/i/Tutorial02-mean-reversion-1.png" alt="Tutorial02-mean-reversion-1" />

<p>
  From these results we can say the limited sample size does not impair the feasibility of this model. The t-stats of the coefficients are -4.074 and 1.417 for the reversal factor and momentum factor respectively. The p-value of the reversal factor is very small which means this factor has a very high significance level.
</p>

<h3>Backtest Sensitivity Results</h3>
<p>
  We performed some rough period sensitivity analysis in different time period(from 2015 to 2018) and summarized the results as the following table:
</p>
<img class="img-responsive" src="https://cdn.quantconnect.com/tutorials/i/Tutorial02-mean-reversion-2.png" alt="Tutorial02-mean-reversion-2" />
